Tag Archives: trends

We’ve added some additional statistics to the new trend reports that were launched a couple of weeks ago. Specifically:

Position MFE, Position MAE – the max favorable/adverse excursion of a trade’s total position value

Price MFE, Price MAE – the max favorable/adverse excursion of the instrument price during a trade, independent of position size

These new additions can surface some interesting trends in your trading. For example, here’s a 100-trade moving average of Position MAE:

The blue line isn’t part of the chart – it’s just there to help illustrate that at this point, we changed our trading methodology such that trades were given a maximum of about $20 of room to move against us; another way to say this is we tightened our average stops to something less than $20.

Now let’s look at the Position MFE moving average chart:

We can now see that at the same time, it seems we no longer let our trades run in the positive direction. Whereas before this change, our stops were looser, but we also let trades run up about $25-60 before closing them; after the change, trades were usually cut after reaching a max P&L of $25.

Often we want to analyze trading performance not just as a snapshot, but over time – to see if we are improving, see if a particular strategy is working better/worse, etc. And while we can look at a cumulative P&L to see part of this, that doesn’t always tell the whole story.

Tradervue has introduced new trend reports to help with this analysis. From the Reports View, click the Advanced tab, then go to the Trends group:

Once you do that, you’ll be able to look at running averages of your per-trade P&L and your win rate. So for example, here we are looking at a 50-day weighted moving average of win %:

From looking at this chart, we can see a pronounced downturn around 10/2010, and we can use this information to help us drill down and understand what’s actually happening.

The trend reports can display P&L (in either $ or R), and win percentage, charted in one of two ways:

n trade moving average – this shows a moving average over the last n trades; the x axis will be the index into the list of trades being shown, sorted by open date/time.

n day moving average – this shows a weighted moving average of the per-trade P&L over the last n days. This is not an average of the daily P&L, but rather an average of the per-trade P&L.

As with all of the other reports in Tradervue, you can narrow the trade data used for the chart by using the trade filter. So, for example, you could look at the win percentage over time for one particular strategy (using tags), or just one particular symbol, or anything else you’d like to filter on.

For additional information on the trend reports, refer to their help page. And if there are other statistics you’d like to be able to view on these charts, let us know!